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澳大利亚悉尼科技大学Tony He教授金融学讲座
发布时间：2011-03-01
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题目：Heterogeneity, Market Mechanisms，and Asset Price Dynamics
异质性、市场机制与资产价格动力学
时间：2011年3月10日（周四）下午3:00-5:00
地点：经济与工商管理学院1722会议室（后主楼）
主讲人：Tony He（何学中）教授
Tony He 教授是澳大利亚悉尼技术大学金融与经济系教授，《Journal of Economic Interaction and Coordination》和《Discrete Dynamics in Nature and Society》副主编。Financial Integrity Research Network, Australian Research Council委员、悉尼技术大学数量金融研究中心核心成员、Society for Computational Economics会员、澳大利亚经济学会会员。曾在国际知名的经济金融类杂志《数量金融》、《宏观经济动力学》、《资产管理》、《经济动力与控制》、《经济行为与组织》、《欧洲金融》等上发表数篇论文，并参与了十余本经济学与金融学书籍的写作。Tony He 教授的主要研究兴趣集中于异质信念下的资产定价、有限理性以及金融和经济中的非线性动力学。
内容概要：
This talk will be based on Chiarella, Dieci and He (2009) to survey the boundedly rational heterogeneous agent (BRHA) models of financial markets, to the development of which I and my co-authors have contributed in various papers. I will give particular emphasis to role of the market clearing mechanism used, the utility function of the investors, the interaction of price and wealth dynamics, portfolio implications, the impact of stochastic elements on the markets dynamics, and calibration of this class of models. Due to agents’ behavioral features and market noise, the BRHA models are both nonlinear and stochastic. I will show that the BRHA models produce both a locally stable fundamental equilibrium corresponding to that of standard paradigm, as well as instability with a consequent rich range of possible complex behaviors characterized both indirectly by simulation and directly by stochastic bifurcations. A calibrated model is able to reproduce quite well the stylized facts of financial markets. The BRHA framework is thus able to accommodate market features that seem not easily reconcilable for the standard financial market paradigm, such as fat tail, volatility clustering, large excursions from the fundamental and bubbles.
本讲座是基于Chiarella, Dieci and He (2009)的综述文章，探讨关于金融市场的有限理性异质主体（BRHA）模型，以及主讲人及其合作者在许多文章中取得的进展。主讲人将会重点介绍市场出清机制的作用、投资者的效用函数、价格与财富动力学的相互作用、投资组合的含义、随机因素对市场动力的影响以及这类模型的校准。由于个体的行为特征和市场噪音，BRHA模型是非线性的、随机性的。主讲人将会展示BRHA模型既能够像标准范例一样制造出局域稳定的基础均衡，也能够制造出持续展现多种可能复杂行为的不稳定，这种不稳定能由模拟间接描述或由随机分叉直接描述。校准后的模型能够完整地刻画金融市场的典型事实。因此BRHA结构能够容纳那些标准金融市场范例不易协调的市场特征，例如：胖尾、波动聚集、对基础值的大幅偏离、泡沫。